Fractals

The Hurst exponent was originally found by observing how the Nile River waxed and waned over the years and now for base money making purposes we will apply it to bearish and bullish sentiments in the stock market.

The code for the Lazy Backtest IDE is here. I followed the Wikipedia nomenclature in order to make it easier to follow.

The strategy works thus.

Every day it estimates the Hurst exponent (H) - 'fitted' not calculated.